Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Oct 10 (1D) | Oct 13 (4D) | Oct 14 (5D) | Oct 15 (6D) | Oct 16 (7D) | Oct 17 (8D) | Oct 20 (11D) | Oct 21 (12D) | Oct 22 (13D) | Oct 23 (14D) | Oct 31 (22D) | Nov 07 (29D) | Nov 14 (36D) | Nov 21 (43D) | Nov 28 (50D) | Dec 05 (57D) | Dec 12 (64D) | Dec 19 (71D) | Dec 26 (78D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 667.342 | 661.575 | 660.213 | 658.983 | 657.851 | 656.797 | 653.981 | 653.131 | 652.315 | 651.53 | 646.058 | 642.051 | 638.505 | 635.29 | 632.328 | 629.566 | 626.97 | 624.512 | 622.173 |
| upper | 678.878 | 684.645 | 686.007 | 687.237 | 688.369 | 689.423 | 692.239 | 693.089 | 693.905 | 694.69 | 700.162 | 704.169 | 707.715 | 710.93 | 713.892 | 716.654 | 719.25 | 721.708 | 724.047 |
| expected move | 5.768 | 11.535 | 12.897 | 14.127 | 15.259 | 16.313 | 19.129 | 19.979 | 20.795 | 21.58 | 27.052 | 31.059 | 34.605 | 37.82 | 40.782 | 43.544 | 46.14 | 48.598 | 50.937 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
